Lim, Kian-Ping and Azali, M. and Habibullah, M.S. and Liew, Venus Khim-Sen (2003) Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets. Munich Personal RePEc Archive. pp. 1-13. ISSN 2285-6803
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Abstract
With abounding evidence of non-linearity in stock markets of developed markets, this study attempts to narrow the gap in the literature of Asian countries by providing further empirical evidence to the issue “are non-linear dynamics a universal occurrence?”. The results from the Hinich bispectrum test indicate strong evidence of non-linearity in all the Asian stock markets under investigate- Japan, Hong Kong, Singapore and Malaysia. These findings further add to the empirical support that nonlinearity is a salient feature in stock market time series data and have important implications for works on market efficiency, modelling and pricing and hedging strategies in derivatives markets.
| Item Type: | Article |
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| Uncontrolled Keywords: | Non-linearity; Data generating process; Hinich bispectrum test; Asian, stock markets, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Ab Rahim |
| Date Deposited: | 27 Nov 2017 03:40 |
| Last Modified: | 27 Nov 2017 03:40 |
| URI: | http://ir.unimas.my/id/eprint/18600 |
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